Purpose – India has added more than 18 crore demat accounts since 2019 and its composite Financial Inclusion Index (FI-Index) has climbed from 53.9 to 70.0 in five years. This study asks whether this unprecedented widening of market access has changed the level, persistence, asymmetry and transmission of investment uncertainty in the Indian equity market.

Design/methodology/approach – The study assembles 819 weekly observations (January 2011–September 2026) on the NIFTY 50, the India VIX and a realised-volatility measure built from daily returns, and divides the sample into three inclusion phases anchored on the launch of the Pradhan Mantri Jan Dhan Yojana (August 2014) and the post-pandemic retail surge (April 2020). The empirical design combines GJR-GARCH models, heterogeneous autoregressive (HAR) regressions of realised volatility with out-of-sample tests, asymmetric and quantile regressions of the return–implied-volatility relation, a vector autoregression with Granger-causality and variance-decomposition analysis, multiple structural-break tests and a two-state Markov-switching model. A fiscal-year panel links these measures to the RBI FI-Index and depository statistics.

Findings – Uncertainty in Indian equities is strongly asymmetric: negative shocks raise conditional variance (γ = 0.240, p < 0.001) while positive shocks of equal size do not. Implied volatility carries information about future realised volatility beyond its own history, raising adjusted R² from 0.245 to 0.339 and lowering out-of-sample forecast error (Diebold–Mariano = 2.72, p = 0.006). Although average volatility and the incidence of turbulent regimes were lower in the two inclusion phases than in the pre-mission phase, a likelihood-ratio test cannot reject stability of the volatility process across phases (LR = 11.18, p = 0.514), and phase effects vanish once implied volatility is controlled for. Structural breaks in volatility coincide with global shocks rather than with inclusion milestones. Annual demat growth is highest in years of strong returns and after high-uncertainty years.

Originality/value – The paper is among the first to connect India’s official inclusion metrics with a multi-model, fifteen-year assessment of market uncertainty that covers the entire post-2020 participation boom and the 2026 geopolitical sell-off. It shows that inclusion has broadened the investor base without destabilising volatility dynamics, but that the new cohort is exposed to asymmetric downside risk whose pricing remains dominated by global conditions.